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CRD IV Data Point Model Summary

Core Content

The CRD IV Data Point Model is a comprehensive framework that defines the data points and reporting requirements for credit risk management and capital adequacy under the Capital Requirements Directive (CRD IV). It includes a wide range of metrics, classifications, and adjustments related to credit risk, capital, and risk-weighted assets (RWA). The model is structured around Amount Types (AT), Approaches (AP), Base (BA), Base Items (BAS), Boolean Total (BT), Callability of Instruments (COI), Collateral/Guarantees (CG), and Computability in Own Funds (COF), with specific classifications for counterparties and credit protection instruments.

Main Categories and Key Concepts

1. Amount Types (AT)

These are the specific data points used to measure various aspects of credit risk and capital. Key AT categories include:

• CET1 Capital Thresholds:

  • AT:1641 – 10% CET1 threshold
  • AT:1696 – 10% CET1 transitional limit
  • AT:1642 – 15% CET1 threshold
  • AT:1698 – 15% CET1 transitional limit

• Capital Adjustments:

  • AT:1681 – Adjustment residual amount
  • AT:1706 – Amount to be deducted as a result of the application of the 10% CET1 limit
  • AT:1699 – Amount to be deducted as a result of the application of the 15% CET1 limit
  • AT:1697 – Amount to be risk weighted as a result of the application of the 10% CET1 limit

• Risk Adjustments and Provisions:

  • AT:1366 – Credit risk adjustments
  • AT:1183 – Specific allowances. Individually assessed financial assets
  • AT:1184 – Specific allowances. Collectively assessed financial assets
  • AT:1185 – General allowances
  • AT:1635 – Risk adjustments and provisions

• Exposure and LGD Adjustments:

  • AT:1830 – Exposure weighted average LGD
  • AT:1878 – LGD
  • AT:1827 – Exposure after CRM substitution effects pre conversion factors
  • AT:1746 – Exposure net of value adjustments and provisions

• Fair Value and Value Adjustments:

  • AT:1331 – Fair value
  • AT:1546 – Value adjustments due to the requirements for prudent valuation
  • AT:1745 – Value adjustments and provision associated with the original exposure [CR SA]

• Securitisation and MKR:

  • AT:2107 – Securitisation value used for MKR purposes
  • AT:2109 – Weighted securitisation value used for MKR purposes before CAP
  • AT:2111 – Weighted securitisation value used for MKR purposes after CAP
  • AT:2697 – Sum of weighted securitisation value used for MKR purposes before CAP
  • AT:2698 – Sum of weighted securitisation value used for MKR purposes after CAP

• Capital and Own Funds:

  • AT:1648 – Capital conservation buffer
  • AT:1616 – Capital ratio
  • AT:1735 – Eligible as own funds
  • AT:1593 – Eligible as CET1 Capital
  • AT:1596 – Eligible as CET1 Capital
  • AT:1603 – AT1 Capital
  • AT:1653 – T1 Capital
  • AT:1599 – Eligible as T2 Capital

Approaches (AP)

These define the methodologies for calculating capital requirements and risk-weighted exposures. Key approaches include:

• IRB Approach:

  • AP:2789 – IRB Approach
  • AP:2039 – AMA (Advanced Measurement Approach)
  • AP:2031 – ASA (Standardised Approach)
  • AP:2029 – ASA, TSA (Standardised Approach, Transitional Approach)
  • AP:2028 – BIA (Basic Indicator Approach)
  • AP:2665 – IRB SEC - 1250% for positions not subject to any method
  • AP:2319 – IRB SEC Internal Assessment Approach
  • AP:1953 – IRB SEC Look-Through Approach
  • AP:1951 – IRB SEC Ratings Based Method
  • AP:1952 – IRB SEC Supervisory formula method
  • AP:1851 – IRB Specialized lending slotting criteria
  • AP:2664 – Methods to calculate risk weights for securitisation exposures IRB
  • AP:2661 – Methods to calculate risk weights for securitisation exposures SA

• MKR (Market Risk) Approaches:

  • AP:2203 – MKR COM Maturity ladder approach
  • AP:2204 – MKR COM Extended maturity ladder approach
  • AP:2205 – MKR COM Simplified approach
  • AP:2206 – MKR COM Additional requirements for options
  • AP:2293 – MKR EQU Approach for general risk
  • AP:2294 – MKR EQU Approach for specific risk
  • AP:2676 – MKR FX approach
  • AP:2677 – MKR FX Additional requirements for options

• Standardised Approach:

  • AP:2680 – Standardised Approach
  • AP:2642 – Standardised Approach - Exposures other than securitisation
  • AP:2660 – Standardised Approach - Securitisation exposures

Base and Base Items (BA, BAS)

These are the fundamental categories for reporting data points. Key base items include:

• Base (BA):

  • BA:9001 – Assets
  • BA:9002 – Equity
  • BA:9003 – Expenses
  • BA:9004 – Exposures
  • BA:9005 – Income
  • BA:9006 – Income or expenses
  • BA:9007 – Liabilities
  • BA:9008 – Liabilities and Equity
  • BA:9009 – Memorandum items
  • BA:9010 – Off balance sheet items
  • BA:9011 – Own funds

• Base Items (BAS):

  • BAS:1521 – Accounting treatment_Assets
  • BAS:1518 – NACE codes_Memorandum items
  • BAS:1519 – p_Assets
  • BAS:2779 – p_Exposures
  • BAS:2248 – p_Memorandum items
  • BAS:1520 – Related parties/Relationships_Assets
  • BAS:1533 – s_Assets
  • BAS:2253 – s_Memorandum items
  • BAS:2334 – m_Assets
  • BAS:2336 – m_Equity
  • BAS:2358 – m_Expenses
  • BAS:2335 – m_Liabilities
  • BAS:2337 – m_Liabilities and Equity
  • BAS:2249 – m_Exposures
  • BAS:2357 – m_Income
  • BAS:2359 – m_Income or expenses
  • BAS:2250 – m_Memorandum items
  • BAS:2369 – m_Off balance sheet items
  • BAS:2244 – m_Own funds

Boolean Total (BT)

This category is used for binary classifications:

• BT:1097 – Minority interests
• BT:2764 – No
• BT:1096 – Owners of the parent
• BT:2513 – Yes

Callability of Instruments (COI)

This defines the callability of financial instruments, particularly in the context of regulatory requirements:

• COI:1669 – Instruments with a call exercisable after the reporting date, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
• COI:1668 – Instruments with a call exercisable after the reporting date, and which meet the conditions in Article 49 of CRR after the date of effective maturity
• COI:1670 – Instruments with a call exercisable prior to or on 20 July 2011, and which do not meet the conditions in Article 49 of CRR after the date of effective maturity
• COI:1667 – Instruments with a call or an incentive to redeem
• COI:1666 – Instruments without a call or an incentive to redeem

Collateral/Guarantees (CG)

This category includes data points related to collateral and guarantees:

• CG:1447 – All Pledges
• CG:1436 – Permitted to sell or repledge in the absence of default by the owner of collateral
• CG:1439 – Permitted to sell or repledge in the absence of default by the owner of collateral. Repledged
• CG:1440 – Permitted to sell or repledge in the absence of default by the owner of collateral. Repledged. Under repo
• CG:1437 – Permitted to sell or repledge in the absence of default by the owner of collateral. Sold
• CG:1438 – Permitted to sell or repledge in the absence of default by the owner of collateral. Sold. Under reserve repo
• CG:1323 – Transferred financial assets entirely recognised
• CG:1324 – Transferred financial assets entirely recognised. Securitizations
• CG:1325 – Transferred financial assets entirely recognised. Repurchase agreements
• CG:1326 – Transferred financial assets recognised to the extent of the institution's continuing involvement

Computability in Own Funds (COF)

This category outlines the eligibility of different capital instruments for inclusion in own funds:

• COF:1603 – AT1 Capital
• COF:1602 – CET1 Capital
• COF:1593 – Eligible as CET1 Capital
• COF:1596 – Eligible as CET1 Capital and Non-eligible as CET1 due to reversible situations
• COF:1598 – Non-eligible as AT1 due to reversible situations
• COF:1595 – Non-eligible as CET1 due to reversible situations
• COF:1601 – Non-eligible as T2 due to reversible situations
• COF:1599 – Eligible as T2 Capital
• COF:1600 – Eligible as T2 Capital and Non-eligible as T2 due to reversible situations
• COF:1653 – T1 Capital
• COF:1604 – T2 Capital
• COF:2784 – Total own funds

Counterparty Classifications (CT)

This section classifies counterparties for risk assessment and reporting:

• CT:1160 – Credit institutions
• CT:1161 – Financial corporations. Other than credit institutions
• CT:1162 – Corporates
• CT:1165 – Non-financial corporations
• CT:1166 – Central banks
• CT:1171 – Other financial corporations
• CT:1172 – Non-financial corporations. Corporates
• CT:1173 – Non-financial corporations. Retail
• CT:1174 – Households. Corporates
• CT:1175 – Households. Retail
• CT:1179 – SME (Small and Medium Enterprises)
• CT:1180 – SME. Corporates
• CT:1181 – SME. Retail
• CT:1187 – SME. Other than corporates and retail
• CT:1227 – Households
• CT:1255 – Counterparties other than Financial corporations
• CT:1273 – Financial corporations. Other than credit institutions. Small and Medium Enterprises, Non-financial corporations. Small and Medium Enterprises, Households. Small and Medium Enterprises
• CT:1810 – SME
• CT:1820 – Counterparties other than SME
• CT:1836 – Large regulated financial entities and unregulated financial entities
• CT:1756 – Default funds [CR SA]

Credit Protection (CP)

This section includes data points related to credit protection mechanisms:

• CP:1839 – Credit derivatives - LGD adjustment effect
• CP:1758 – Credit derivatives - Substitution effect
• CP:1880 – Credit derivatives protection
• CP:1845 – CRM techniques double default treatment
• CP:1762 – CRM techniques Exposure value adjustment effect (Financial collateral comprehensive method SA)
• CP:2257 – CRM techniques RW adjustment effect (alternative Approach for real estate)
• CP:1761 – CRM techniques substitution effect
• CP:1837 – Funded credit protection other than financial collateral excluding life insurance policies pledged to the lending institutions substitution effect
• CP:1838 – Guarantees - LGD adjustment effect
• CP:1757 – Guarantees - Substitution effect
• CP:1840 – Life insurance policies pledged to the lending institutions LGD adjustment effect
• CP:1841 – Financial collateral LGD adjustment effect
• CP:1759 – Financial collateral simple method
• CP:1871 – Secured by commercial real estate
• CP:1879 – Secured by residential property
• CP:1842 – Real estate excluding immovable property for which alternative treatment is used
• CP:1843 – Other physical collateral eligible for CRM under IRB approach
• CP:1844 – Receivables eligible for CRM under IRB approach
• CP:1875 – Credit risk mitigation techniques with substitution effects on the exposure
• CP:1897 – CRM substitution effects Outflows
• CP:1896 – CRM Financial collateral: adjusted value (Cvam)
• CP:1750 – CRM Volatility adjustment to the exposure [CR SA]
• CP:1752 – CRM Volatility and maturity adjustments [CR SA]

Summary

The CRD IV Data Point Model is a detailed regulatory framework used to measure and report credit risk, capital adequacy, and risk-weighted assets for financial institutions. It includes a wide array of data points categorized under Amount Types, Approaches, Base, Base Items, Boolean Total, Callability of Instruments, Collateral/Guarantees, and Credit Protection. These categories are essential for ensuring transparency, consistency, and compliance with regulatory standards, particularly in the context of capital requirements, risk mitigation, and securitisation.